A Multivariate Functional Limit Theorem in Weak M_1 Topology (CROSBI ID 199932)
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Podaci o odgovornosti
Basrak, Bojan ; Krizmanić, Danijel
engleski
A Multivariate Functional Limit Theorem in Weak M_1 Topology
We show a new functional limit theorem for weakly dependent regularly varying sequences of random vectors. As it turns out, the convergence takes place in the space of R^d valued cadlag functions endowed with the so-called weak M_1 topology. The theory is illustrated on two examples. In particular, we demonstrate why such an extension of Skorohod's M_1 topology is actually necessary for the limit theorem to hold.
Functional limit theorem ; Regular variation ; Stable Levy process ; Weak M_1 topology
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Podaci o izdanju
28 (1)
2015.
119-136
objavljeno
0894-9840
1572-9230
10.1007/s10959-013-0510-3